BDX Options History — October 2009 In October 2009, BDX traded between $51.08 and $53.12. ATM implied volatility averaged 21.5%, placing in the 16.6% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 4.6% (HV 20d: 16.9%). Max pain ranged from $53.69 to $53.69. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 2.51.
Notable Days 2009-10-02 : Highest Volume — 2,495 contracts2009-10-15 : Largest IV spike — 46.4% change2009-10-23 : Highest IV Rank — 28.1%2009-10-23 : Largest Expected Move — 7.4%Monthly Statistics Metric Avg Min Max Open Close Price $52.17 $51.08 $53.12 $52.38 $52.43 Max Pain $53.69 $53.69 $53.69 $53.69 $53.69 ATM IV 21.5% 15.3% 26.0% 20.5% 24.7% Expected Move 6.6% 5.9% 7.4% 5.9% 7.1% HV 20d 16.9% 14.5% 19.8% 19.5% 14.5% HV 60d 25.1% 18.6% 28.0% 27.9% 18.7% IV Rank 16.6% 1.9% 28.1% 13.3% 24.9% IV Percentile 19.0% 0.4% 46.0% 8.7% 40.9% Term Structure 0.1% -4.8% 11.3% 2.3% -0.6% VWIV 23.3% 21.0% 25.8% 21.9% 25.3% Skew 25d 2.9% 0.9% 4.6% 4.6% 2.8% Skew 10d 5.5% -5.4% 13.5% 7.8% 8.5% Call IV 25d 21.7% 18.9% 24.2% 18.9% 24.2% Put IV 25d 24.6% 21.8% 26.9% 23.4% 26.9% Bid-Ask Spread % 28.64 14.79 66.29 28.46 35.95 Gamma HHI 0.39 0.25 0.70 0.49 0.27 Net GEX 2.2M 386.7K 7.0M 3.0M 1.1M Net DEX -10.5M -19.2M -530.2K -19.2M -10.8M Net VEX -151.5K -174.5K -134.0K -174.5K -154.2K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.51 0.13 21.79 0.20 1.27 Total Volume 902.091 160 2,495 758 594 Total OI 27,032.364 21,935 30,156 26,158 27,288
Daily Data (22 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2009-10-01 $52.38 $53.69 20.5% 5.9% 19.5% 13.3% 21.9% 4.6% 2.3% 3.0M -19.2M -174.5K 0.20 28.46 N/A N/A 635 123 17,896 8,262 2009-10-02 $51.62 $53.69 20.5% 5.9% 19.8% 13.4% 24.5% 4.3% 11.3% 2.5M -12.5M -164.0K 21.79 28.15 N/A N/A 109 2,386 17,975 8,291 2009-10-05 $51.59 $53.69 19.8% 7.3% 18.4% 11.7% 25.2% 2.6% -0.3% 1.6M -7.4M -160.9K 0.75 36.54 N/A N/A 243 181 18,009 10,296 2009-10-06 $51.82 $53.69 22.0% 6.6% 17.8% 16.7% 24.4% 2.9% -0.9% 1.9M -9.0M -158.4K 3.50 23.02 N/A N/A 67 238 18,172 10,368 2009-10-07 $51.94 $53.69 17.7% 6.5% 16.5% 7.1% 23.4% 3.0% -0.0% 2.1M -9.8M -159.8K 0.80 27.65 N/A N/A 761 607 18,196 10,488 2009-10-08 $52.51 $53.69 21.6% 6.6% 16.8% 15.9% 23.8% 3.4% -0.5% 3.0M -16.4M -173.3K 0.13 21.98 N/A N/A 492 65 18,622 10,935 2009-10-09 $52.73 $53.69 19.1% 6.6% 16.7% 10.3% 23.1% 2.3% -1.1% 3.6M -17.0M -166.6K 0.34 14.79 N/A N/A 361 121 18,626 10,923 2009-10-12 $52.62 $53.69 18.2% 6.7% 16.5% 8.2% 25.3% 2.6% -0.9% 3.8M -15.9M -160.9K 3.47 15.58 N/A N/A 95 329 18,902 11,023 2009-10-13 $52.78 $53.69 18.9% 6.7% 16.6% 10.7% 23.3% 2.0% -1.0% 4.4M -16.2M -161.4K 4.65 20.68 N/A N/A 281 1,309 18,908 11,248 2009-10-14 $52.58 $53.69 15.3% 6.4% 16.6% 1.9% 22.2% 2.7% -0.3% 3.6M -12.0M -152.4K 0.98 23.50 N/A N/A 109 107 19,010 10,984 2009-10-15 $52.42 $53.69 22.4% 6.4% 16.5% 19.3% 22.5% 1.7% -0.6% 3.0M -10.1M -145.1K 0.16 22.22 N/A N/A 221 36 18,946 10,999 2009-10-16 $53.12 $53.69 22.1% 6.3% 17.2% 18.6% 22.4% 2.8% -0.3% 7.0M -18.0M -148.1K 0.21 26.24 N/A N/A 969 207 18,952 11,010 2009-10-19 $52.85 $53.69 21.1% 6.0% 17.1% 16.0% 21.0% 3.5% -0.0% 1.1M -11.1M -138.3K 0.21 19.94 N/A N/A 935 198 13,034 8,901 2009-10-20 $51.79 $53.69 21.3% 6.1% 18.4% 16.6% 21.2% 0.9% -0.1% 816.8K -6.1M -135.8K 0.21 39.96 N/A N/A 655 135 13,574 8,952 2009-10-21 $51.76 $53.69 24.7% 7.1% 18.0% 25.0% 21.8% 3.2% -1.7% 920.0K -6.4M -138.7K 2.78 29.16 N/A N/A 487 1,357 14,087 9,054 2009-10-22 $52.19 $53.69 22.0% 6.3% 18.0% 18.3% 21.8% 1.7% -0.8% 1.0M -8.9M -146.5K 0.27 36.55 N/A N/A 126 34 14,328 10,131 2009-10-23 $51.77 $53.69 26.0% 7.4% 18.2% 28.1% 21.6% 2.7% -4.8% 921.9K -6.9M -139.5K 0.33 37.81 N/A N/A 211 69 14,365 10,124 2009-10-26 $51.77 $53.69 23.9% 6.8% 14.5% 22.9% 24.1% 2.2% -0.5% 885.0K -5.4M -134.0K 7.68 30.83 N/A N/A 276 2,123 14,514 10,165 2009-10-27 $51.73 $53.69 21.9% 6.3% 14.5% 18.0% 25.8% 4.5% 5.1% 727.1K -4.8M -139.3K 4.62 66.29 N/A N/A 51 235 14,679 11,494 2009-10-28 $51.08 $53.69 25.5% 7.3% 14.8% 26.9% 22.9% 4.3% 0.2% 386.7K -530.2K -137.9K 0.79 20.85 N/A N/A 397 314 14,673 11,643 2009-10-29 $52.21 $53.69 23.2% 6.6% 15.4% 21.2% 23.9% 2.6% -1.3% 695.5K -6.1M -143.9K 0.14 23.93 N/A N/A 1,397 200 14,842 11,823 2009-10-30 $52.43 $53.69 24.7% 7.1% 14.5% 24.9% 25.3% 2.8% -0.6% 1.1M -10.8M -154.2K 1.27 35.95 N/A N/A 262 332 15,456 11,832
« Sep 2009 | All History | Nov 2009 » Home BDX History October 2009